Equity Options
Historical U.S. equity options (OPRA) tick data, minute bars, daily Greeks, and open interest since 2012. Full consolidated feed across all exchanges.
algoseek’s U.S. equity options data is derived from the full Options Price Reporting Authority (OPRA) consolidated feed, covering every listed equity option across all U.S. options exchanges. Coverage begins in 2012 and is updated daily.
Datasets include tick-level trades and quotes with millisecond timestamps, NBBO-filtered trade and quote feeds, top-of-book quote streams, trade-only tick data with NBBO context at execution time, and minute-level bars with 59 analytics per interval. Cboe Global Trading Hours (GTH) data captures overnight sessions for SPX, VIX, and XSP options.
Daily analytics provide end-of-day implied volatility, theoretical pricing, and the full set of Greeks (delta, gamma, theta, vega, rho) computed using Black-Scholes-Merton models. Open interest is consolidated across all exchanges at the contract level.
Every dataset includes the underlying asset’s market context (bid, ask, last price) aligned to the options event, supporting accurate execution analysis, implied volatility surface construction, and historical options backtesting.
Tick#
2 items
Intraday Bar#
1 item
Daily#
2 items